From Personalization, open "Desktop Background (slide show)" click "clear all", choose your own background, the "change picture" time and other settings. Then "save changes".
Everytime you make change, there will be unsaved theme which you just consomized on previous window. Remeber to click "Save theme" and delete other saved one by righting click on it directly choose delete without highlight it first.
In addition, if you are using laptop with battery, this function will be disabled automatically to save power.
If this issue persists, create a new user account to test if your user profile is corrupted:
Create a new user account
1. Click the Start Button, and then click Control Panel.
2. Click switch to a Classic View in left panel.
3. Double-click User Accounts.
4. Click Manage another account.
Note: Please click Continue if the User Account Control (UAC) window prompts.
5. Click "Create a new account".
6. Type in the account name and select choose an account type (For Example: Administrator or Standard user). Then, click Create Account.